feat: Dpo, Tsi, Vortex, Bpp, Cci, Cfo, Tr, Ui, Vc, Vov, Vr, Vs, Mfi, Nvi, Obv, Pvi, Pvo, Pvol, Pvr, Pvt, Tvi

2026-08-17 10:08:05 +00:00 · 2024-10-30 13:45:36 -07:00
parent 06c6875970
commit 6231bab9e5
34 changed files with 3151 additions and 254 deletions
@@ -0,0 +1,105 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// PVT: Price Volume Trend
+/// A momentum indicator that combines price and volume to determine the strength of a trend.
+/// Similar to OBV but uses percentage price changes in its calculation.
+/// </summary>
+/// <remarks>
+/// The PVT calculation process:
+/// 1. Calculate price change percentage:
+///    Price Change = (Close - Previous Close) / Previous Close
+/// 2. Calculate PVT:
+///    PVT = Previous PVT + (Price Change * Volume)
+///
+/// Key characteristics:
+/// - Cumulative indicator
+/// - Volume-weighted price changes
+/// - No upper or lower bounds
+/// - Trend strength measure
+/// - More sensitive than OBV
+///
+/// Formula:
+/// Price Change = (Close - Previous Close) / Previous Close
+/// PVT = Previous PVT + (Price Change * Volume)
+///
+/// Market Applications:
+/// - Trend confirmation
+/// - Divergence analysis
+/// - Volume-price relationships
+/// - Support/resistance levels
+/// - Market momentum
+///
+/// Sources:
+///     Norman Fosback - Original development
+///     https://www.investopedia.com/terms/p/pvt.asp
+///
+/// Note: Rising PVT suggests buying pressure, while falling PVT suggests selling pressure
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Pvt : AbstractBase
+{
+    private double _prevClose;
+    private double _prevPvt;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Pvt()
+    {
+        WarmupPeriod = 2;  // Need previous close
+        Name = "PVT";
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Pvt(object source) : this()
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prevClose = 0;
+        _prevPvt = 0;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Skip first period to establish previous close
+        if (_index == 1)
+        {
+            _prevClose = BarInput.Close;
+            return 0;
+        }
+
+        // Calculate price change percentage
+        double priceChange = (Math.Abs(_prevClose) > double.Epsilon) ? (BarInput.Close - _prevClose) / _prevClose : 0;
+
+        // Calculate PVT
+        _prevPvt += priceChange * BarInput.Volume;
+
+        // Store current close for next calculation
+        _prevClose = BarInput.Close;
+
+        IsHot = _index >= WarmupPeriod;
+        return _prevPvt;
+    }
+}